中国CISS-清华大学五道口金融学院.PDF

研究报告 （2019 年 第 5 期 总第 65 期） 2019 年2 月14 日 清华大学国家金融研究院 基于高频数据的中国金融压力指数 — 中国CISS 金融与发展研究中心 马骏 Manfred Kremer 何晓贝 刘姝睿 王立升 摘 要 及时有效地识别和监测金融风险、判断风险的演化方向对于宏观 审慎措施和危机干预措施的制定有重要意义。然而许多常用的风险度 量指标仅适用于单个市场，难以反映“系统性”风险。由于系统性压 力的一个重要特征是各金融市场风险联动性的显著增强，我们基于这 个特征构建了描述中国金融市场系统性压力的指标——中国 CISS。 我们选取债券市场、金融中介、股票市场、外汇市场的 12 个子指标， 用子指标间时变的相关系数矩阵作为动态的权重，对市场间相关性增 强、且各子指标均上升到高位的情况赋予更高的权重，以此识别“系 统性”压力。结果显示，中国CISS 指标的峰值与历史上的金融风险 事件高度吻合，具备及时监测金融市场风险的功能。 Research Report 2019-2- 14edition TSINGHUA UNIVERSITY NATIONAL INSTITUTE OF FINANCIAL RESEARCH Measuring Systemic Financial Risks in China – China CISS Center for Finance and Development MA Jun, Manfred KREMER, HE Xiaobei, LIU Shuri and WANG Lisheng Abstract It is critical for financial regulators to assess the overall level of stress in the financial system in a timely manner, but various financial markets often send mixed signals. To address this problem, we present a single composite financial stress index (China CISS) based on 12 financial indicators of the equity market, the bond market, financial intermediaries and the foreign exchange market. To capture the stylized fact that co-movements between markets are much stronger during times of financial stress, we use the time-varying correlation matrix between sub-indices as a dynamic weighting mechanism, and identify the episodes when both the covariance and co-extremeness across markets are jointly high as “systemic” stress events. According to the